had this problem tonight myself and the above didn't work, so.. for others who face it...
Appearance-> Editor -> open css.php
Search (Ctrl+F) for: base styling for all widgets
Replace the next couple sections with the following, which removes the border-left completely (better than just changing the background color of left border) and adds underline to hover.
Code:
div.widget ul li {
display: block;
margin: 2px 0 2px <?php echo $bfa_ata['widget_lists']['li-margin-left']; ?>px;
padding: 0 0 0 <?php echo $bfa_ata['widget_lists']['link-padding-left']; ?>px;
border-left: none;
}
div.widget ul li:hover,
div.widget ul li.sfhover {
display: block;
width: auto;
border-left: none;
text-decoration:underline;
}